Problems with particle hair in 2.72 (cycles)
I struggled with the same problem. Here is my example:



In my case I set up the hair settings, and then realized that the mesh isn't perfect. Then I tried to remove doubles, and change the geometry. 
Every time you change geometry (actions like: deleting, separating, ripping vertices) with the hair settings set up, you may see this problem appear.

My advice is to (before setting up the hair):


Apply rotation, location and scale. Ctrl A
Remove doubles. 
Apply mirror modifier.
Recalculate normals. Ctrl N
Check the mesh using "mesh lint addon" and make sure the mesh is 'clear' (has no ngons and interior faces).


After applying all the things mentioned above my problem was solved.